sdpdth

Description

M-estimator for threshold and non-threshold spatial dynamic panel data model.

Author(s)

Junyue Wu <wu.junyue.p1@dc.tohoku.ac.jp>

A simulated data set for testing

Description

A simulated data set for testing

Usage

data_n

Format

An object of class list of length 4.

A simulated data set for testing

Description

A simulated data set for testing

Usage

data_nw

Format

An object of class matrix with 12 rows and 12 columns.

A simulated data set for testing

Description

A simulated data set for testing

Usage

data_th

Format

An object of class list of length 8.

A simulated data set for testing

Description

A simulated data set for testing

Usage

data_w

Format

An object of class matrix with 16 rows and 16 columns.

M-estimator for spatial dynamic panel data model

Description

Estimating the spatial dynamic panel data model with M-estimator

Usage

msdpd(
  y,
  x,
  w1,
  correction = TRUE,
  hessian_er = FALSE,
  true_range = FALSE,
  max_try = 5,
  w2 = w1,
  w3 = w1,
  no_tf = FALSE,
  model = "full",
  rcpp = TRUE,
  cma_pop_multi = 1
)

Arguments

Details

Estimating the spatial dynamic panel data model with Yang(2018)'s M-estimator

y_{ti} = \mu_{i}+\alpha_t + x_{ti}\beta + \rho y_{t-1,i} + \lambda_1 \sum_{j =1}^{n}w_{1,ij}y_{tj} + \lambda_2 \sum_{j =1}^{n}w_{2,ij}y_{t-1,j} + u_{ti},\\ u_{ti} = \lambda_3\sum_{j =1}^{n}w_{3,ij}u_{tj} + v_{ti}, i=1,\ldots,n,t=1,\ldots,T

The minimum number of time-periods is 4. Make sure the rows and columns of w1, w2, and w3 are lined up with the regional index. Sub-models can be specified by argument "model"

• "full" Full model

• "slm" \lambda_2 = \lambda_3 = 0

• "sem" \lambda_1 = \lambda_2 = 0

• "sltl" \lambda_3 = 0

Some suggestions when the optimizer fails:

• Increase max_try

• Increase cma_pop_multi

• try a different submodel

Value

A list of estimation results of S3 class "msdpd"

• "coefficient" list, coefficients and standard errors

• "model" character, model used for estimation

• "vc_mat" matrix, variance-covariance matrix

• "hessian" matrix, optional, hessian matrix

References

Yang, Z. (2018). Unified M-estimation of fixed-effects spatial dynamic models with short panels. Journal of Econometrics, 205(2), 423-447.

Examples

data(data_n, data_nw)
result <- msdpd(y = data_n$y, x = data_n$x, w1 = data_nw)

M-estimator for threshold spatial dynamic panel data model

Description

Estimating threshold spatial dynamic panel data model with M-estimator

Usage

msdpdth(
  y,
  x,
  w1,
  th,
  correction = TRUE,
  max_try = 5,
  all_er = FALSE,
  true_range = FALSE,
  residual = FALSE,
  w3 = w1,
  w2 = w1,
  no_tf = FALSE,
  model = "full",
  th_type = "row",
  ini_val = NULL,
  rcpp = TRUE,
  cma_pop_multi = 1
)

Arguments

Details

Estimating threshold spatial dynamic panel data model with extended Yang(2018)'s M-estimator

y_{ti} = \mu_{i} +\alpha_t+ x_{ti}\beta_{q} +\rho_{q} y_{t-1,i} + \lambda_{1q}\sum_{j=1}^{n}w_{1,ij}y_{tj} \\ \qquad + \lambda_{2q}\sum_{j=1}^{n}w_{2,ij}y_{t-1,i}+ u_{ti},\\ u_{ti} = \lambda_{3q}\sum_{j=1}^{n}w_{3,ij}u_{tj}+ v_{ti},i=1,\ldots,n,t=1,\ldots,T, q = 1,2

The minimum number of time-periods is 4. Make sure the rows and columns of w1, w2, and w3 are lined up with the regional index. Sub-models can be specified by argument "model"

• "full" Full model

• "slm" \lambda_{2q} = \lambda_{3q} = 0

• "sem" \lambda_{1q} = \lambda_{2q} = 0

• "sltl" \lambda_{3q} = 0

Some suggestions when the optimizer fails:

• Increase max_try

• Increase cma_pop_multi

• try a different submodel

Value

A list of estimation results of S3 class "msdpdth"

• "coefficient" list, coefficients and standard errors

• "model" character, model used for estimation

• "vc_mat" matrix, variance-covariance matrix

• "hes_mat" matrix, optional, Hessian matrix

• "gamma_mat" matrix, optional, Gamma matrix

• "residual" numeric, optional, residuals

References

Wu, J and Matsuda, Y. (2021). A threshold extension of spatial dynamic panel model with fixed effects. Journal of Spatial Econometrics 2,3

Examples

data(data_th, data_w)
result <- msdpdth(y = data_th$y, x = data_th$x, w1 = data_w, th = data_th$th)

Print method for msdpd class

Description

Print method for msdpd class

Usage

## S3 method for class 'msdpd'
print(x, ...)

Arguments

Details

Print method for msdpd class

Value

A data.frame containing the coefficients and the corresponding standard error.

Examples

data(data_n, data_nw)
result <- msdpd(y = data_n$y, x = data_n$x, w1 = data_nw)
result

Print method for msdpdth class

Description

Print method for msdpdth class

Usage

## S3 method for class 'msdpdth'
print(x, ...)

Arguments

Details

Print method for msdpdth class

Value

A data.frame containing the coefficients and the corresponding standard error.

Examples

data(data_th, data_w)
result <- msdpdth(y = data_th$y, x = data_th$x, w1 = data_w, th = data_th$th)
result

Wald test for threshold spatial dynamic panel data model

Description

Wald test for threshold spatial dynamic panel data model

Usage

wald_test(th_res)

Arguments

Details

Two sided Wald test for testing whether two estimated parameters for each group are equal

• "h_0" \theta_1 = \theta_2

• "h_1" \theta_1 \neq \theta_2

Value

A list of p-values for each parameter.

Examples

data(data_th, data_w)
result <- msdpdth(y = data_th$y, x = data_th$x, w1 = data_w, th = data_th$th)
wald_test(result)